Assenagon Alpha Volatility

Investment Objective

The Assenagon Alpha Volatility fund exploits volatility as a source of return and aims for a market-neutral positive return after costs of 4.0% p.a. above money market rates. In order to achieve this goal, the portfolio management invests in different volatility strategies, capitalising primarily on relative spreads. The entire investment process is subject to a stringent risk management. Predefined risk budgets are implemented on both fund and individual strategy level. The low correlation of the various strategies ensures a well diversified portfolio.

Latest Meeting Note

Meeting 05 Oct 2021

Assenagon currently offer a suite of 3 volatility strategies - Alpha Volatility (long vol.), Alpha Premium (short vol./vol selling), and Assenagon EquiVol (A blend of the two). Following the volatility compression seen in late 2020/early... Read more

Assenagon currently offer a suite of 3 volatility strategies - Alpha Volatility (long vol.), Alpha Premium (short vol./vol selling), and Assenagon EquiVol (A blend of the two). Following the volatility compression seen in late 2020/early 2021 the team remain somewhat cautious on selling index volatility given mediocre volatility risk premium, however they are identifying interesting opportunities in correlation risk premium (the Alpha Premium funds harvests correlation and volatility risk premia). 

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.8 0.2 0.7 0.2 0.4 0.3 0.8 1.0 0.1 0.8 0.1 0.0 0.5
2019 0.7 0.1 0.5 0.2 0.1 0.3 0.3 0.3 0.8 0.7 0.7 0.2 0.7

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